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Extreme VaR Scenarios in Higher Dimensions
Company: ETHZ
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: February
Pages: 16
Download Count: 518
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 11-12-2006
Publisher: Administrator
Summary
The dependence scenario yielding the worst possible Value-at-Risk at a given level forX1 + · · · + Xn is known for n = 2. In this paper we investigate this problem for higherdimensions. We provide a geometric interpretation highlighting the shape of the dependencestructures which imply the worst possible scenario. For a portfolio (X1, . . . ,Xn)with given uniform marginals, we give an analytical solution sustaining the main result ofRuschendorf (1982). In general, our approach allows for numerical computatio
Author(s)
Embrechts, Paul Sign in to follow this author
Hoeing, Andrea Sign in to follow this author
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